I've thought about it and wrote a bunch of trial software to test things. Primarily, I work on Linux even though I support Windows. There are also some features in OCaml that I like, which are not available on F# such as the module system, polymorphic variants, and, in the past, camlp4. While these can be worked around, the other use case is running the software on an HPC system using MPI. For me, the use of OCaml or F# is a glue, so I'm not worried about the performance. I am a little worried that the HPC administrators are going to have some difficulty getting the correct setup for F# across all the nodes. For OCaml I don't view this as much of a problem since it just produces binaries. Now, I absolutely could be wrong about this and I'd appreciate if someone where to chime in if so.
"Expert F#" by Don Syme et. all. is a great starting point. It explains how to get started and contains lots of non-trivial code to type in and try out yourself. Don Syme designed F# as a no-nonsense industrial language and this book is a great introduction from that point of view.
Then there is "Programming language Concepts" by Sestoft - which, while being a language book, at the same time exposes lot of beautiful patterns how to exactly use F# for data munching.
Then, thirdly, Jon Harrop's "F# for scientist" is a great introduction for us that have a penchant foe writing numerical code (graphics or whatever). It's a great companion for the Expert F# as it shows how to use F# effectively in place of sonething like C++ or fortran.